The impact of labeling multilevel coding scheme with a pulse amplitude modulation (PAM) constellation in the downlink non-orthogonal multiple access (NOMA) system is studied. Particular interest is paid to the case where the strong receiver does not perform successive interference cancellation (SIC) before decoding its desired message. With judiciously chosen parameters, this scheme with non-Gray labeling is shown to achieve the capacity region to within a constant gap in [IEEE Trans. Commun., vol. 64, no. 4, pp. 1624-1635]. In this letter, analytic and extensive simulation results are provided to show that for this scheme, among Gray labeling, natural labeling, and non-Gray labeling, Gray labeling provides the best performance in terms of symbol error rates, block error rates, and ǫ-feasible rates. Simulation results also indicate that using Gray labeling, the performance gap between receivers with and without SIC can be further bridged, which suggests the possibility of avoiding SIC in NOMA.